http://svnpenn.blogspot.com/2011/06/rtmpdump-mingw.html
Install required packages
mingw-get install libz
mingw-get install msys-wget
Install PolarSSL
wget http://polarssl.org/code/releases/polarssl-0.14.3-gpl.tgz
tar fx polarssl-0.14.3-gpl.tgz
cd polarssl-0.14.3
make CC=gcc LDFLAGS="-L../library -lpolarssl -lws2_32"
make DESTDIR=/MinGW install
Install RTMPdump
wget http://repo.or.cz/w/rtmpdump.git/snapshot/HEAD.tar.gz
tar fx HEAD.tar.gz
cd rtmpdump
make SHARED= SYS=mingw CRYPTO=POLARSSL LIBZ="-lz -static"
Optional, make librtmp.dll
make SYS=mingw CRYPTO=POLARSSL LIBZ="-lz -static"